POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS

DOI10.1017/S0266466611000077zbMath1442.62205MaRDI QIDQ3108569

Peter C. B. Phillips, Sainan Jin, Yixiao Sun

Publication date: 4 January 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62G35: Nonparametric robustness

Related Items

Robust trend inference with series variance estimator and testing-optimal smoothing parameter, Controlling the size of autocorrelation robust tests, A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions, ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Automatic Lag Selection in Covariance Matrix Estimation
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Simple Robust Testing of Regression Hypotheses
• EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• The Error in Rejection Probability of Simple Autocorrelation Robust Tests
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation